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- W21813410 abstract "We will deal with the valuation of equity-linked insurance contracts such asunit links. We will introduce a premium principle based on the optimizationof expectation bounded and coherent measures of risk. The premiumprinciple seems to present some interesting properties. Indeed, firstly, it issub-additive and favors diversification. Secondly, it integrates both actuarialand financial risks, and does not have to impose independence betweenthem. Thirdly, it provides the insurer with hedging strategies. Finally, it isvery easy to use in practice since one only has to solve linear programmingproblems, despite the fact that risk measures are not linear at all." @default.
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- W21813410 date "2010-01-01" @default.
- W21813410 modified "2023-10-17" @default.
- W21813410 title "On the premium of equity-linked insurance contracts" @default.
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